A Primer for Unit Root Testing
Title | A Primer for Unit Root Testing PDF eBook |
Author | K. Patterson |
Publisher | Springer |
Pages | 301 |
Release | 2010-03-31 |
Genre | Business & Economics |
ISBN | 0230248454 |
This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.
A Primer on Unit Root Testing
Title | A Primer on Unit Root Testing PDF eBook |
Author | J. M. Phillips |
Publisher | |
Pages | 0 |
Release | 2006 |
Genre | |
ISBN |
The immense literature and diversity of unit root tests can at times be confusing even to the specialist and presents a truly daunting prospect to the uninitiated. In consequence, much empirical work still makes use of the simplest testing procedures because it is unclear from the literature and from recent reviews which tests if any are superior. This paper presents a survey of unit root theory with an emphasis on testing principles and recent developments. The general framework adopted makes it possible to consider tests of stochastic trends against trend stationarity and trend breaks of a general type. The main tests are listed, and asymptotic distributions are given in a simple form that emphasizes commonalities in the theory. Some simulation results are reported, and an extensive list of references and all annotated bibliography are provided.
A Primer on Unit Root Testing
Title | A Primer on Unit Root Testing PDF eBook |
Author | Peter C. B. Phillips |
Publisher | |
Pages | 0 |
Release | 2012 |
Genre | |
ISBN |
The immense literature and diversity of unit root tests can at times be confusing even to the specialist and presents a truly daunting prospect to the uninitiated. In consequence, much empirical work still makes use of the simplest testing procedures because it is unclear from the literature and from recent reviews which tests if any are superior. This paper presents a survey of unit root theory with an emphasis on testing principles and recent developments. The general framework adopted makes it possible to consider tests of stochastic trends against trend stationarity and trend breaks of a general type. The main tests are listed, and asymptotic distributions are given in a simple form that emphasizes commonalities in the theory. Some simulation results are reported, and an extensive list of references and all annotated bibliography are provided.
Unit Root Tests in Time Series Volume 1
Title | Unit Root Tests in Time Series Volume 1 PDF eBook |
Author | K. Patterson |
Publisher | Springer |
Pages | 676 |
Release | 2011-02-25 |
Genre | Business & Economics |
ISBN | 023029930X |
Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.
A Primer on Unit Root Testing
Title | A Primer on Unit Root Testing PDF eBook |
Author | P. C. B. Phillips |
Publisher | |
Pages | 47 |
Release | 1998 |
Genre | |
ISBN |
Unit Root Tests in Time Series Volume 2
Title | Unit Root Tests in Time Series Volume 2 PDF eBook |
Author | K. Patterson |
Publisher | Springer |
Pages | 666 |
Release | 2012-07-05 |
Genre | Business & Economics |
ISBN | 1137003316 |
Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.
Nonstationary Panels, Panel Cointegration, and Dynamic Panels
Title | Nonstationary Panels, Panel Cointegration, and Dynamic Panels PDF eBook |
Author | Badi H. Baltagi |
Publisher | Elsevier |
Pages | 351 |
Release | 2000 |
Genre | Business & Economics |
ISBN | 0762306882 |
In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.